I am a Ph.D. candidate in economics at Goethe University in Frankfurt and a member of the Frankfurt Quantitative Macro group.

I am also a visiting scholar at the International Monetary Fund.

In the spring semester of 2022, I will be visiting the Department of Economics at the European University Institute (EUI)


I hold a master's degree in economics from University College London (M1) and from Toulouse School of Economics (M2).

Before moving to Goethe university, I worked as an economist for four years at the European Central Bank (ECB).


My research focuses on macroeconomic questions which I investigate using a mix of quantitative models and novel large-scale micro datasets.

I am currently pursuing questions in the following areas:

a) Income distribution, living arrangements, and intergenerational social mobility in low-income countries.

b) House price and labor earnings dispersion across time and space.

c) Distributional effects of financial shocks on banks profitability.


My supervisors are Alexander Ludwig and Leo Kaas




Working papers

Intergenerational Social Mobility in Africa since 1920 (September 2021 pdf, appendix pdf) - new draft coming soon

IMF working paper series

(with Rasmane Ouedraogo)


Abstract: The COVID-19 crisis has a severe impact on education and employment and exposed the many social inequities that make some populations more vulnerable to shocks. Despite a vast literature on social mobility in advanced economies, little is known about it in African countries, mainly due to data limitations. Using a large harmonized dataset of more than 23 million parents-children matched pairs, we fill this gap and examine socioeconomic status mobility across generations, measured by educational and occupational attainment. We uncover the substantial geographical variations in the degree of upward/downward educational and occupational mobility across and within African countries, and the gender and rural/urban divide. Additionally, we explore the determinants of social mobility in the African region. We find that social mobility on the continent could be partly explained by observable individual characteristics (gender, marital status, age, etc.), and that educational mobility is a driver of occupational mobility. Lastly, we show that the quality of institutions, the level of public spending on education, social protection coverage, natural resource endowments, and countries' fragility are strong predictors of social mobility in Africa.


Presented at: Frankfurt Quantitative Macro Group 2021, IMF Research Seminar Series 2021, ATI Research Papers 2021, UNICEF Speaker series 2021, Royal Institute of International Affairs (2022 scheduled)


A short Video summary (IMF Analytical Corner, Spring 2022)

Press: IMF news magazine


Stress-testing Net Trading Income: The Case of European Banks (November 2021 pdf)

ECB Working paper, slides

(with Carla Giglio, Frances Shaw & Giuseppe Cappelletti)

Abstract: Net trading income is an important but volatile source of revenue for many euro area banks deemed to be highly sensitive to changes in financial market conditions. We propose a two-step econometric approach to quantify the downside risk of financial shocks on the banks' trading revenues. First, we estimate the parameters of a fixed-effects quantile autoregressive model conditional on exogenous macro-financial shocks and bank characteristics. In the second step, we approximate the entire empirical conditional distribution of net trading income across all banks and time horizons by interpolating between the estimated quantiles. Based on the estimated distribution function, we derive two key metrics that summarize conditional left tail risks: i) conditional shortfall, ii) material loss probability. These measures are relevant in a stress test exercise whose aim to gauge CET-1 capital depletion under an adverse macro-financial scenario. We apply our methodology on supervisory data for a representative sample of European banks over the period spanning from the first quarter of 2015 to the last quarter of 2020. We find that the lower quantiles of net trading revenue distribution are significantly impacted by deteriorating financial conditions, whereas the upper quantiles seem to be stable over time.


Presented at: Frankfurt Brown Bag Seminar 2021, ECB Financial Stability seminar 2021, ESM research 2021 , EEA-ESEM 2021 meeting

Press : Risk net, SUERF


Stress-Testing European Banks: A Two-Step Approach (preliminary pdf)

(with Ruggero Jappelli )

Abstract: Exploiting a highly confidential dataset containing information for 54 European banks' income items over 2015Q1-2020Q4, I propose a new econometric framework to quantify the distributional effects of tail shocks on the banks' profitability. I apply a two-step procedure to estimate conditional distribution functions for total net revenue but also its three most important sources, net interest income, commission fees, and net trading income. First, I estimate semi-parametrically a fixed-effects quantile autoregressive model pooling together all banks and time periods. In the second step, I uncover the empirical conditional distributions by interpolating between the estimated quantiles as in Adrian et al (2019). I use the estimated distribution functions to derive two key metrics that summarize conditional left tail risks: i) conditional expected shortfall ii) material loss probability. These measures are relevant in a stress test exercise, whose aim is to gauge CET-1 capital depletion due to adverse macro-financial shocks.


House price dispersion (draft in preparation)

slides

(with Leo Kaas and Georgi Kocharkov)


Presented at: Frankfurt Brown Bag Seminar 2022


Work in progress

What do 36 million young adults tell us about intergenerational mobility in the developing world?

(STEG small research grant)

Abstract: A general indicator of a fair and fluid society is intergenerational social mobility—the likelihood that children will achieve a higher standard of living than the household in which they were nurtured. Despite a vast literature on social mobility in advanced economies, little is known about it in low and middle-income countries, mainly due to data limitations. Using a large harmonized dataset of more than 36 million parents-children matched pairs across 76 countries, I fill this gap and examine socioeconomic status mobility across generations, measured by educational attainment. I uncover the substantial geographical variations in the degree of upward/downward education across and within countries and the rural/urban divide. In the second step, following Chetty(2018), I examine the neighborhood effects of intergenerational mobility in education by exploiting variation in the age of children when their parents move to a new country or district.


The impact of wages on local house prices and rents: The labour market fluidity effect (early stage)

(with Chloe Larkou )

Intergenerational Mobility in Low-Income Countries: A New Dataset (early stage)

(with Rasmane Ouedraogo)


Permanent working papers


(Procyclical) Term structure of equity risk premia (September 2017 pdf)

Abstract: Using a highly confidential dataset of put and call options, I compose the Term Structure of Equity Risk Premia. I show that the term structure of equity is procyclical: it is upward sloping in maturity in normal times but steeply downward sloping in economic slowdowns. My results square with asset pricing theory and contradict previous empirical studies. In a second step, I show that the slope of the term structure is approximately linear. I find that two factors, namely "level" and "slope" explain most of the variation in equity premia. Finally, I study the variation of the slope i.e long vs short equity claims by regressing the equity premia on various macroeconomic surprises.




Publications

"The effects of fiscal consolidation on macroeconomic indicators in Cyprus" (with N Pashourtidou and CS Savva), 2014 , Cyprus Economic Policy Review



Goethe University Frankfurt

House of Finance, 4.17

Theodor-W.-Adorno-Platz 3

60629 Frankfurt am Main (Germany)

Phone:+49 (0)69 798-30079

email: syrichas [at] econ [dot]uni-frankfurt.de